Option-Implied Spreads and Option Risk Premia
收藏NBER2021-06-01 更新2025-01-04 收录
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https://www.nber.org/papers/w28941
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资源简介：
We propose implied spreads (IS) and normalized implied spreads (NIS) as simple measures to characterize option prices. IS is the credit spread of an options implied bond, the portfolio long a risk-free bond and short a put option. NIS normalizes IS by the risk-neutral default probability and
提供机构：
美国国家经济研究局
创建时间：
2021-06-01
